[R] Perfect prediction of AR1 series using package dlm, posted on stack exchange

[Ashim Kapoor]

Dear Peter,

Many thanks,
Ashim.

On Thu, May 4, 2017 at 4:54 PM, peter dalgaard <pdalgd at gmail.com> wrote:

> I am not an expert on dlm, but it seems to me that you are getting perfect
> _filtering_ not _prediction_. If you cast an AR model as a state space
> model, there is no measurement error on the state values, hence the
> conditional distribution of theta_t given y_t is just the point value of
> y_t...
>
> -pd
>
> > On 4 May 2017, at 12:05 , Ashim Kapoor <ashimkapoor at gmail.com> wrote:
> >
> > Dear all,
> >
> > I have made a dlm model,where I am getting a perfect prediction.
> >
> > Here is a link to the output:
> >
> > http://pasteboard.co/9IxVQwjm6.png
> >
> > The query and code is on:
> >
> > https://stats.stackexchange.com/questions/276449/perfect-
> prediction-in-case-of-a-univariate-ar1-model-using-dlm
> >
> > Can someone here be kind enough to answer my query?
> >
> > Best Regards,
> > Ashim
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/
> posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> --
> Peter Dalgaard, Professor,
> Center for Statistics, Copenhagen Business School
> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
> Phone: (+45)38153501
> Office: A 4.23
> Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com
>
>
>
>
>
>
>
>
>
>

	[[alternative HTML version deleted]]